Joëlle MIFFRE

2021

FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2021) . The risk premia of energy futures, Energy Economics, 102 (October 2021), Article N° 105460

2020

FERNANDEZ-PEREZ, A., FUERTES, A., GONZALEZ-FERNANDEZ, M., MIFFRE, J. (2020) . Fear of hazards in commodity futures markets, Journal of Banking and Finance, 119 (October 2020), Article n° 105902

FAN, J., FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2020) . Speculative pressure, Journal of Futures Markets, 40 (4), 575–597

RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2020) . Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?, Journal of Empirical Finance, 58 (September 2020), 164-180

2019

FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2019) . A comprehensive appraisal of style-integration methods, Journal of Banking and Finance, 105 134-150

2018

FERNANDEZ-PEREZ, A., FRIJNS, B., FUERTES, A., MIFFRE, J. (2018) . The skewness of commodity futures returns, Journal of Banking and Finance, 86 143-158

2017

FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2017) . Commodity markets, long-horizon predictability and intertemporal pricing, Review of Finance, 21 (3), 1159-1188

2016

MIFFRE, J. (2016) . Long-short commodity investing: A review of the literature, Journal of Commodity Markets, 1 3-13

BROOKS, C., FERNANDEZ-PEREZ, A., MIFFRE, J., NNEJI, O. (2016) . Commodity risks and the cross-section of equity returns, British Accounting Review, 48 134-150

FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2016) . Is idiosyncratic volatility priced in commodity futures markets?, International Review of Financial Analysis, 46 219-226

2015

FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2015) . Commodity strategies based on momentum, term structure and idiosyncratic volatility, Journal of Futures Markets, 35 274-297

FERNANDEZ-PEREZ, A., MIFFRE, J. (2015) . The case for long-short commodity investing, Journal of Alternative Investments, 18 92-104

2013

FUERTES, A., MIFFRE, J., RALLIS, G. (2013) . Strategic and tactical roles of enhanced commodity indices, Journal of Futures Markets, 33 965-992

BASU, D., MIFFRE, J. (2013) . The performance of simple dynamic commodity strategies, Journal of Alternative Investments, 16 9-18

BROOKS, C., MIFFRE, J. (2013) . Do long-short speculators destabilize commodity futures markets?, International Review of Financial Analysis, 30 230-240

BROOKS, C., LI, X., MIFFRE, J. (2013) . Idiosyncratic volatility and the pricing of poorly-diversified portfolios, International Review of Financial Analysis, 30 78-85

BASU, D., MIFFRE, J. (2013) . Capturing the risk premium of commodity futures: The role of hedging pressure, Journal of Banking and Finance, 37 2652-2664

2012

BROOKS, C., CERNY, A., MIFFRE, J. (2012) . Optimal hedging with higher moments, Journal of Futures Markets, 32 909-944

2010

FUERTES, A., MIFFRE, J., RALLIS, G. (2010) . Tactical allocation in commodity futures markets: Combining momentum and term structure signals, Journal of Banking and Finance, 34 2530-2548

CHONG, J., MIFFRE, J. (2010) . Conditional correlation and volatility in commodity futures and traditional asset markets, Journal of Alternative Investments, 12 61-75

BROOKS, C., LI, X., MIFFRE, J. (2010) . Transaction costs, trading volume and momentum strategies, The Journal of Trading, 5 66-81

2009

BROOKS, C., LI, X., MIFFRE, J. (2009) . The value premium and time-varying volatility, Journal of Business Finance and Accounting, 36 1252-1272

CHONG, J., MIFFRE, J., STEVENSON, S. (2009) . Conditional correlations and real estate investment trusts, Journal of Real Estate Portfolio Management, 15 173-184

FUERTES, A., MIFFRE, J., TAN, W. (2009) . Momentum profits, non-normality risks and the business cycle, Applied Financial Economics, 19 935-953

BROOKS, C., LI, X., MIFFRE, J. (2009) . Low-cost momentum strategies, Journal of Asset Management, 9 366-379

2008

BROOKS, C., LI, X., MIFFRE, J., O' SULLIVAN, N. (2008) . Momentum profits and time-varying unsystematic risk, Journal of Banking and Finance, 32 541-558

MIFFRE, J. (2008) . Conditional risk premia in international government bond markets, Multinational Finance Journal, 12 185-204

KAT, H., MIFFRE, J. (2008) . The impact of non-normality risks and tactical trading on hedge fund alphas, Journal of Alternative Investments, 10 8-22

2007

MIFFRE, J. (2007) . Country-specific ETFs: An efficient approach to global asset allocation, Journal of Asset Management, 8 112-122

MIFFRE, J., RALLIS, G. (2007) . Momentum strategies in commodity futures markets, Journal of Banking and Finance, 31 1863-1886

2004

MIFFRE, J. (2004) . The conditional price of basis risk: An investigation using foreign exchange instruments, Journal of Business Finance and Accounting, 31 1046-1068

MIFFRE, J. (2004) . Conditional OLS minimum variance hedge ratios, Journal of Futures Markets, 24 945-964

2003

MIFFRE, J. (2003) . The cross section of expected futures returns and the Keynesian hypothesis, Applied Financial Economics, 13 731-739

2002

MIFFRE, J. (2002) . The predictability of futures returns: Market inefficiency or rational change in required returns?, Applied Financial Economics, 12 715-724

MIFFRE, J. (2002) . Portfolio beta under market segmentation, Derivatives Use, Trading and Regulation, 8 159-168

MIFFRE, J. (2002) . Economic significance of the predictable movements in futures returns, Economic Notes, 31 125-142

2001

MIFFRE, J. (2001) . Efficiency in the pricing of the FTSE100 futures contract, European Financial Management, 7 9-22

MIFFRE, J. (2001) . Economic activity and time variation in expected futures returns, Economics Letters, 73 73-79

2000

MIFFRE, J., PRIESTLEY, R. (2000) . Sources of systematic risk in futures and spot markets: A study of market integration, Journal of Business Finance and Accounting, 27 933-952

MIFFRE, J. (2000) . Normal backwardation is normal, Journal of Futures Markets, 20 803-821

1995

MIFFRE, J., CLARE, A. (1995) . A note on forecasting the CAC 40 and DAX stock index futures, Applied Economics Letters, 2 327-330

RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2021). The commodity risk premium and neural networks. CEMA 2021 conference.

RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2021). The commodity risk premium and neural networks. French Finance Association Conference.

MIFFRE, J. (2021). Absolute return from commodities strategies through style integration and machine learning. UBS Commodities Virtual Conference.

MIFFRE, J. (2020). UBS conference: "Risk Premia Carry on".

FAN, J., FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2019). Speculative pressure. Financial Engineering and Banking Society conference.

FAN, J., FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2019). Speculative pressure. Conference on Computational and Financial Econometrics.

FERNANDEZ-PEREZ, A., FUERTES, A.-M., & MIFFRE, J. (2018). Harvesting commodity styles: An integrated framework., Commodity Markets Winter Workshop, Audencia Business School.

FERNANDEZ-PEREZ, A., FUERTES, A.-M., & MIFFRE, J. (2018). Harvesting commodity styles: An integrated framework., Frontiers of Factor Investing, Lancaster University Business School.

FAN, J., FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2018). Speculative pressure. PanoRisk conference, Audencia Business School.

FERNANDEZ-PEREZ, A., FUERTES, A.-M., & MIFFRE, J. (2017). Harvesting commodity styles: An integrated framework., PanoRisk conference.

MIFFRE, J. (2017). What does the future hold for commodity risk premia investing?. Barclays European Quantitative Investment Strategies Conference.

FERNANDEZ-PEREZ, A., FUERTES, A. -M., MIFFRE, J. (2018). Harvesting commodity styles: A flexible integration framework,. Global Commodities Applied Research Digest, J.P. Morgan Center for Commodities.

FERNANDEZ-PEREZ, A., FRIJNS, B., FUERTES, A. -M., MIFFRE, J. (2017). The skewness of commodity futures returns,. Global Commodities Applied Research Digest, J.P. Morgan Center for Commodities, Winter 2017.

FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2017). Is idiosyncratic volatility priced in commodity futures markets?,. Global Commodities Applied Research Digest, Spring 2017, 2, 1.